Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 6 7 6
Score 2.04 2.3 1.19
Market Cap (Millions USD) 40239.45 39385.96 37745.63
Predicted Beta 1.18 1.18 1.16
Idiosyncratic Volatility 1.84 2.02 2.06

Annualized return and volatility

IWD
Annualized Return 0.0701
Annualized Std Dev 0.1861
Annualized Sharpe (Rf=0%) 0.3765

Row

Daily Return Statistics

IWD
Observations 5010.0000
NAs 104.0000
Minimum -0.0917
Quartile 1 -0.0042
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.1283
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0117
Skewness 0.0106
Kurtosis 10.8112

Downside Risk

IWD
Semi Deviation 0.0085
Gain Deviation 0.0085
Loss Deviation 0.0093
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.6010
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0285
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0190
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-02-01 -0.6010 1452 455 997
2001-05-22 2002-10-09 2003-12-29 -0.3408 666 352 314
2018-01-29 2018-12-24 2019-04-30 -0.1834 320 233 87
2015-05-22 2016-02-11 2016-06-08 -0.1616 268 186 82
2001-02-13 2001-03-22 2001-05-16 -0.1219 66 27 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWD
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 0.9 0.0 0.8 -0.2 0.0 -0.9 -0.4 0 0.3
2001 0.6 -0.7 0.0 0.8 0.2 0.0 0.3 0.0 0.2 1.4 0.0 0 2.8
2002 -0.7 1.8 -0.6 1.0 0.0 -1.4 -2.7 0.0 4.0 1.1 0.0 0 2.3
2003 0.0 0.0 1.9 0.0 0.0 1.2 -1.0 0.0 2.1 0.0 1.3 0 5.7
2004 0.0 1.0 0.5 0.0 0.2 -1.2 0.0 0.2 1.4 0.2 1.3 0 3.6
2005 0.9 0.2 -0.1 0.0 1.1 0.7 -0.1 0.6 0.0 0.4 1.0 0 4.6
2006 0.6 0.7 0.0 -0.5 1.0 0.0 -0.1 0.7 0.0 -0.5 0.0 0 1.9
2007 0.7 -0.2 0.0 0.2 0.5 0.0 0.9 0.0 1.4 -3.1 0.0 0 0.3
2008 1.6 0.0 3.2 1.6 0.0 0.3 -0.2 0.0 0.0 0.0 -9.2 0 -3.1
2009 0.0 0.0 1.7 0.6 1.7 0.3 0.0 -2.7 -2.8 0.0 1.2 0 0.0
2010 1.7 1.1 0.9 0.0 -2.2 -0.4 0.0 3.0 0.6 -0.1 2.1 0 7.0
2011 1.7 -1.8 0.5 0.0 -2.4 1.5 -0.2 -1.3 0.0 -3.1 -0.3 0 -5.4
2012 1.1 1.0 0.0 0.9 -2.5 0.0 -0.1 0.0 0.2 1.2 0.0 0 1.7
2013 0.9 0.3 -0.3 -1.1 0.0 0.5 1.2 0.0 0.7 0.3 0.0 0 2.5
2014 0.0 0.0 0.4 0.0 0.0 0.6 -0.2 0.0 -1.2 0.0 -0.5 0 -1.0
2015 0.0 0.0 -0.4 0.9 0.1 0.6 0.0 -3.1 0.1 0.0 1.0 0 -0.8
2016 -0.3 2.3 0.5 0.0 0.2 0.1 -0.5 -0.1 0.0 -0.7 0.2 0 1.7
2017 -0.3 1.5 0.0 0.1 0.9 0.0 0.2 0.4 0.0 0.3 0.1 0 3.3
2018 0.2 -1.1 0.0 -0.2 0.8 0.0 -0.5 0.0 0.3 0.8 0.0 0 0.3
2019 0.3 0.6 1.1 -0.8 0.0 0.8 -1.2 0.0 -1.5 1.1 0.0 0 0.5

Row

Rolling Performance Chart

Snail Trail Chart